Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0142 |
| Annualized Std Dev | 0.2049 |
| Annualized Sharpe (Rf=0%) | -0.0694 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3854.0000 |
| NAs | 1.0000 |
| Minimum | -0.1514 |
| Quartile 1 | -0.0046 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0055 |
| Maximum | 0.1889 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | -0.2280 |
| Kurtosis | 28.1030 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0095 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0095 |
| Downside Deviation (0%) | 0.0095 |
| Maximum Drawdown | 0.5996 |
| Historical VaR (95%) | -0.0178 |
| Historical ES (95%) | -0.0320 |
| Modified VaR (95%) | -0.0147 |
| Modified ES (95%) | -0.0147 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-12-01 | 2009-03-09 | NA | -0.5996 | 3851 | 821 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.9 | 0.8 |
| 2006 | 0.4 | 0.3 | 0.6 | 0.1 | 1.3 | 0.2 | 0.8 | -0.2 | 1.2 | 0.2 | 0.1 | -0.6 | 4.6 |
| 2007 | 0.7 | 0 | 0.4 | 0.3 | 0.3 | 0.9 | -1 | 1.2 | 0.3 | -1.3 | 0.9 | 0.6 | 3.2 |
| 2008 | 0.6 | -1.6 | 2.3 | 0.8 | -0.1 | -0.3 | 0.1 | -0.2 | 3.4 | 2.5 | -5.4 | 3.3 | 5.2 |
| 2009 | -2.8 | -1.5 | 1.6 | 0.6 | 2.4 | 0.6 | 0.5 | -2.8 | -1.1 | -2 | 1 | -0.5 | -4 |
| 2010 | 1.3 | -0.1 | 0.7 | -0.6 | -0.9 | -0.6 | 0.7 | 2.1 | 0.8 | 0.4 | 1.8 | 0.6 | 6.2 |
| 2011 | 1.6 | -0.3 | 0.4 | 0.4 | -0.7 | 0.7 | -0.2 | -1 | -1.3 | -1.8 | 0 | 0.3 | -1.8 |
| 2012 | 0.7 | 0.5 | 0.7 | 0.3 | -1.6 | 1.8 | 0.3 | 0.8 | 1.1 | 0.6 | -1.3 | 0.4 | 4.2 |
| 2013 | -0.4 | 0.1 | 0.4 | -0.1 | -1.3 | 0.9 | 0.5 | 0.3 | 1.8 | -0.1 | 0.1 | -0.2 | 1.9 |
| 2014 | -0.2 | 0.1 | 0.4 | 0.2 | 0 | 0.1 | -0.7 | 0.5 | -0.7 | 1.1 | -0.7 | -0.8 | -0.8 |
| 2015 | -0.6 | -0.8 | -0.2 | 0.9 | 0.1 | 0.8 | 0 | -2.2 | 0.2 | -0.4 | 0.1 | 0.4 | -1.5 |
| 2016 | 0 | 1.4 | -0.3 | -0.8 | 0.7 | 1.1 | -0.6 | -0.2 | 1.8 | -0.5 | -0.1 | -0.3 | 2 |
| 2017 | 1.8 | 1.6 | 0.6 | 0.4 | 0.1 | 0.1 | -0.1 | 0.8 | 0.6 | 0.4 | -0.6 | -0.5 | 5.3 |
| 2018 | 0.7 | 1.1 | 0.9 | -0.5 | 0.1 | 1.4 | 0 | -0.1 | 0.6 | 2.5 | -0.6 | 1.7 | 8.1 |
| 2019 | -0.4 | 1.2 | 0.7 | 0.1 | -2.8 | 0 | -1.9 | 0 | -0.4 | 0.4 | -0.1 | 0.1 | -3.1 |
| 2020 | -0.7 | -3.2 | -2.8 | -2.4 | 0.2 | 1.2 | 0.2 | 0.8 | 0.9 | -1.1 | 0.5 | 1.6 | -5.1 |
| 2021 | 0.9 | 2.4 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-11-23 20 SPY 127. 0.00580 0.0287 0.0611 0.0447 0.0725 0.360 -0.0753 GLD 49.2 -0.0034 0.0287
2 2005-11-25 20 SPY 127. 0.0008 0.02 0.065 0.0527 0.0742 0.36 -0.0696 GLD 49.4 0.0055 0.0194
3 2005-11-28 20 SPY 126. -0.0071 0.0088 0.0688 0.0373 0.0715 0.377 -0.0628 GLD 49.7 0.0065 0.0264
4 2005-11-29 20 SPY 126. -0.0011 0.0026 0.0525 0.0416 0.0696 0.337 -0.0686 GLD 49.8 0.00120 0.0165
5 2005-11-30 20.0 SPY 125. -0.0054 -0.007 0.044 0.0231 0.0518 0.334 -0.0509 GLD 49.1 -0.0141 -0.0045
6 2005-12-01 20 SPY 127. 0.0102 -0.0027 0.0515 0.0343 0.0617 0.346 -0.0605 GLD 50.2 0.0218 0.0208
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
